This paper will cover investing in commodities through futures contracts. It will note the unique sources of risk and return for such investments. We will also discuss the factors that one should take into consideration before deciding upon how much of their portfolio should be in commodities....

The focus of this paper will be on risk management within the context of a total-return futures program centered on commodities. The following issues will be addressed: the evaluation of normal versus eventful risk; the sizing of trades and strategy buckets; and the construction of a portfolio,...

This brief paper discusses the option-like exposures of a number of hedge fund strategies based on a review of the literature on the topic. Specifically, recent academic articles have argued that implicit options arise in hedge fund products due to the following factors: (1) the tailoring of...

This paper examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual...

This paper discusses how commodity returns had in the past mainly relied on portfolio effects and term-structure properties of individual commodity futures contracts. But the paper also notes that rare trend shifts, as occurred in the early 1970's, can also be a meaningful source of returns for...

Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...

Part 1 of this paper can be found at 'http://ssrn.com/abstract=2602785' http://ssrn.com/abstract=2602785.This article is the second in a two-part series. The goal of this series is to discuss the innovative ways in which academics and practitioners are enhancing the risk allocation framework in...

This article is the first in a two-part series. The series will discuss the innovative ways in which academics and practitioners are enhancing asset allocation methodologies in order to incorporate hedge funds. This article will begin by discussing the current practice in asset allocation work,...

This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. While the article mainly covers the additional risk measurement techniques, which are needed when investing in hedge funds, its recommendations are also relevant for other investments...